On pricing contingent claims in a two interest rates jump-diffusion model via market completions
نویسندگان
چکیده
منابع مشابه
A Two-factor Interest Rate Model and Contingent Claims Valuation
gent claims. The ~wo factors are the instantaneous riskless (short-term) interest rate and the instantaneous variance of changes in this short-term interest rate. The model is attractive not only because it provides for closed form expressions in a two-factor world. but also because it explicitly allows for a stochastic volatility f.lctOr. As the parameters of the model can be estimated using b...
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This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As special cases, the relationship between futures and forward prices is analyzed, and a preference-free expression is derived for these prices, as well as the price of a continuously resettled futures option, whose formula differs from Black’s futures option pricing formula due to the effects of m...
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Brownian motion and normal distribution have been widely used in the Black–Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called...
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ژورنال
عنوان ژورنال: Theory of Probability and Mathematical Statistics
سال: 2008
ISSN: 0094-9000,1547-7363
DOI: 10.1090/s0094-9000-09-00747-9